Price forecast in the competitive electricity market by support vector machine

The electricity market has been widely introduced in many countries all over the world and the study on electricity price forecast technology has drawn a lot of attention. In this paper, with different parameter C_i and ε_i assigned to each training data, the flexible C_i Support Vector Regression (SVR) model is developed in terms of the particularity of the price forecast in electricity market. For Day Ahead Market (DAM) price forecast, the load, time of use index and index of day type are taken as the major factors to characterize the market price, therefore, they are selected as the inputs for the flexible SVR forecast model. For the long-term price forecast, we take the reserve margin R^m, HHI and the fuel price index as the inputs, since they are the major factors that drive the market price variation in long run. For short-term price forecast, besides the detailed analysis with the young Italian electricity market, the new model is tested on the experimental stage of the Spanish market, the New York market and the New England market. The long-term forecast with the SVR model presented is justified by the forecast with the data from the Long Run Market Simulator (LREMS).     

High amounts of 17-methylated anabolic-androgenic steroids in effervescent tablets on the dietary supplement market

In numerous studies it has been demonstrated that several nutritional supplements contain prohormones not declared on the label. In the current study two products (effervescent tablets) containing high amounts of the 17-methylated anabolic androgenic steroids metandienone (product 1: 16.8 mg/tablet) and stanozolol (product 2: 14.5 mg/tablet) were identified. Additionally in both products norandrostenedione was detected, in product 2 with minor amounts of several other steroids. The substances identified can cause enormous health risks. In addition, the use of the analyzed tablets can lead to positive doping results for metabolites of the respective steroids in sports. This study again shows the insufficient surveillance of the production and trade of dietary supplements. Consumers should be aware of the enormous health and doping risks connected with the use of such products. For GC-MS identification of the analytes the trimethylsilyl derivatives of the steroids and the mixed N-t-butyldimethylsilyl,O-trimethylsilyl derivatives were used. The quantitation of metandienone, norandrostenedione, and stanozolol was performed using HPLC-DAD.     

Inverse Variational Inequality Approach and Applications

It is well known that a dynamic oligopolistic market equilibrium problem can be studied as an evolutionary variational inequality and this problem is approached as a problem of profit optimization for the firms. On the contrary, in this article, with the help of an inverse variational formulation, the behavior of control policies for an oligopolistic market equilibrium problem, whose aim is to regulate the exportation through the adjustment of taxes on the firms, is studied. This is considered as a policymaker optimization problem. More precisely, a definition of equilibrium for the firms by using the Lagrange multipliers is provided together to the optimal regulatory tax definition. Moreover an existence result is given and, at last, a numerical example is analyzed.     

Stochastic capacity expansion with multiple sources of capacity

In this paper, we consider the multi-period single resource stochastic capacity expansion problem with three sources of capacity: permanent, contract, and spot market. The problem is modeled as a multi-stage stochastic integer program. We show that the problem has the totally unimodular property and develop polynomial-time primal and dual algorithms to solve the problem.     

Property prices in urban areas affected by road traffic noise

This paper reports a revealed preference study into the different effects of road traffic noise on property values in residential areas with similarly high road traffic sound levels but with what appear to be important differences in the market for different types of residential property in each area. The results show significant differences in the revealed effects of noise on property prices between the three areas with in one case an increasing (and possibly misleading) relationship between higher monetary values and higher sound levels. A number of possible explanations for the findings are discussed in the paper.     

An array of scarlet and grey booklets: 65 years of the Symposium on Molecular Spectroscopy

A history of the OSU International Symposium on Molecular Spectroscopy is presented with a broad brush, inspired by looking at the evolution of the program booklets of the meeting, and drawing upon a selection of abstracts, all of which are now accessible on-line, and on reminiscences. The important and enduring aspects of the meeting from the perspective of the author are identified, and a few of the changes traced. The essential contributions of the founders and successive official hosts of the meeting, Harald H. Nielsen, David Dennison, K. Narahari Rao, and Terry A. Miller are acknowledged.     

Comparing the structure of an emerging market with a mature one under global perturbation

In this paper we investigate the Tehran stock exchange (TSE) and Dow Jones Industrial Average (DJIA) in terms of perturbed correlation matrices. To perturb a stock market, there are two methods, namely local and global perturbation. In the local method, we replace a correlation coefficient of the cross-correlation matrix with one calculated from two Gaussian-distributed time series, whereas in the global method, we reconstruct the correlation matrix after replacing the original return series with Gaussian-distributed time series. The local perturbation is just a technical study. We analyze these markets through two statistical approaches, random matrix theory (RMT) and the correlation coefficient distribution. By using RMT, we find that the largest eigenvalue is an influence that is common to all stocks and this eigenvalue has a peak during financial shocks. We find there are a few correlated stocks that make the essential robustness of the stock market but we see that by replacing these return time series with Gaussian-distributed time series, the mean values of correlation coefficients, the largest eigenvalues of the stock markets and the fraction of eigenvalues that deviate from the RMT prediction fall sharply in both markets. By comparing these two markets, we can see that the DJIA is more sensitive to global perturbations. These findings are crucial for risk management and portfolio selection.     

Nonlinear bivariate dependency of price-volume relationships in agricultural commodity futures markets: A perspective from Multifractal Detrended Cross-Correlation Analysis

Nonlinear dependency between characteristic financial and commodity market quantities (variables) is crucially important, especially between trading volume and market price. Studies on nonlinear dependency between price and volume can provide practical insights into market trading characteristics, as well as the theoretical understanding of market dynamics. Actually, nonlinear dependency and its underlying dynamical mechanisms between price and volume can help researchers and technical analysts in understanding the market dynamics by integrating the market variables, instead of investigating them in the current literature. Therefore, for investigating nonlinear dependency of price-volume relationships in agricultural commodity futures markets in China and the US, we perform a new statistical test to detect cross-correlations and apply a new methodology called Multifractal Detrended Cross-Correlation Analysis (MF-DCCA), which is an efficient algorithm to analyze two spatially or temporally correlated time series. We discuss theoretically the relationship between the bivariate cross-correlation exponent and the generalized Hurst exponents for time series of respective variables. We also perform an empirical study and find that there exists a power-law cross-correlation between them, and that multifractal features are significant in all the analyzed agricultural commodity futures markets.     

上海股票市场和国际主要股票市场之间波动溢出效应的实证研究

使用BEKK—二元GARCH(1,1)模型,对于我国股票市场和国际主要股票市场之间的波动溢出效应进行了实证研究.分析结果表明,上证综指和标准普尔500指数、日经225指数之间存在单向波动溢出效应,而上证综指和香港恒生指数之间存在双向波动溢出效应,上证综指和新加坡海峡时报指数之间不存在波动溢出效应.     

Study on the model of an insurer’s solvency ratio in Markov-modulated Brownian markets

In this paper the insurer’s solvency ratio model with or without jump diffusion process in the presence of financial distress cost is constructed, where an insurer’s solvency ratio is characterized by a Markov-modulated dynamics. By Girsanov’s theorem and the option pricing formula, the expected present value of shareholders’ terminal payoff is provided.